Pätäri, Eero; Ahmed, Sheraz; Luukka, Pasi; Yeomans, … - 2022
We introduce a new return-momentum indicator that is based on monotonicity of monthly-return rank order within an 11-month lookback period (henceforth abbreviated as MRRO). Based on an extensive post-cost performance comparison of long-only momentum portfolios formed on six stand-alone and 36...